2 Answers
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As @Brent mentioned in the comments to Roberto's answer, the replicas are for HA; if you deleted a blob, that delete is replicated instantly.

For blobs, you can very easily create asynchronous copies to a separate blob (even in a separate storage account). You can also make snapshots which capture a blob at a current moment in time. At first, snapshots don't cost anything, but if you start modifying the blocks/pages referred to by the snapshot, then new blocks/pages are allocated. Over time, you'll want to start purging your snapshots. This is a great way to keep data "as-is" over time and revert back to a snapshot if there's a malfunction in your software.

With queues, the malfunction story isn't quite the same, as typically you'd only have a small number of queue items present (at least that's the hope; if you have thousands of queue messages, this is typically a sign that your software is falling behind). In any event: You could, when writing queue messages, write your queue messages to blob storage, for archive purposes, in case there's a malfunction. I wouldn't recommend using blob- based messaging for scaling/parallel processing, since they don't have the mechanisms in place that queues do, but you could use them manually in case of malfunction.

There's no copy function for tables. You'd need to write to two tables during your write.

Azure keeps 3 redundant copies of your data in different locations in the same data centre where your data is hosted (to guard against hardware failure).

This applies to blob, table and queue storage.

Additionally, You can enable geo-replication on all of your storage. Azure will automatically keep redundant copies of your data in separate data centres. This guards against anything happening to the data centre itself.

You are correct that there is no backup service provided so you will need to perform that action yourself. the local replication Roberto refers to is really for HA and not DR or "oops" scenarios. If you accidently drop a table, the local replication won't allow you to restore it. Redgate and other providers have this type of a service and you can also do "blob copies"to other storage accounts periodically or take "blob snapshots". Snapshots are a great way to handle blob backups.
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BrentDaCodeMonkeyJul 2 '13 at 17:22